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isPartOf:"Finanz-Betrieb : FB ; Zeitschrift für Unternehmensfinanzierung und Finanzmanagement"
~isPartOf:"The journal of computational finance"
~subject:"Optionspreistheorie"
~subject:"Theory"
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Optionspreistheorie
Theory
Option pricing theory
271
Stochastic process
87
Stochastischer Prozess
87
Theorie
81
Volatility
65
Volatilität
65
Option trading
58
Optionsgeschäft
58
Monte Carlo simulation
44
Monte-Carlo-Simulation
44
Derivat
32
Derivative
32
Black-Scholes model
26
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26
Yield curve
23
Zinsstruktur
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18
Zinsderivat
18
Analysis
17
Mathematical analysis
17
Simulation
16
stochastic volatility
15
Swap
13
Experiment
11
Finanzmathematik
11
Hedging
11
Mathematical finance
11
option pricing
11
Credit risk
10
Kreditrisiko
10
Interest rate
9
Statistical distribution
9
Statistische Verteilung
9
USA
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United States
9
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9
calibration
9
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English
254
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17
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Madan, Dilip B.
7
Forsyth, Peter A.
6
Reisinger, Christoph
5
Andersen, Leif B. G.
4
Coleman, Thomas F.
4
Joshi, Mark S.
4
Oosterlee, Cornelis Willebrordus
4
Rebonato, Riccardo
4
Vetzal, Kenneth R.
4
Brotherton-Ratcliffe, Rupert
3
Carr, Peter
3
Ehrhardt, Matthias
3
Glasserman, Paul
3
Grzelak, Lech A.
3
Kirkby, J. Lars
3
Korn, Ralf
3
Le Floc'h, Fabien
3
Li, Yuying
3
Oosterlee, Cornelis W.
3
Schoenmakers, John
3
Tankov, Peter
3
Zvan, R.
3
AitSahlia, Farid
2
Cakici, Nusret
2
Caramellino, Lucia
2
Christara, Christina C.
2
Cont, Rama
2
Crépey, Stéphane
2
Dang, Duy Minh
2
Escobar, Marcos
2
Fries, Christian
2
Fu, Michael
2
Glau, Kathrin
2
Grossinho, Maria do Rosário
2
Guerra, João
2
Guyon, Julien
2
Günther, Michael
2
Hafner, Reinhold
2
Han, Chuan-Hsiang
2
Harrach, Bastian von
2
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Finanz-Betrieb : FB ; Zeitschrift für Unternehmensfinanzierung und Finanzmanagement
The journal of computational finance
International journal of theoretical and applied finance
467
The journal of futures markets
261
Mathematical finance : an international journal of mathematics, statistics and financial theory
255
Applied mathematical finance
240
Finance and stochastics
218
Journal of banking & finance
208
The journal of derivatives : the official publication of the International Association of Financial Engineers
203
Quantitative finance
196
Review of derivatives research
170
Insurance / Mathematics & economics
139
European journal of operational research : EJOR
133
Journal of economic dynamics & control
130
International journal of financial engineering
116
Finance research letters
109
Journal of mathematical finance
107
Computational economics
106
Risks : open access journal
93
Research paper series / Swiss Finance Institute
87
The North American journal of economics and finance : a journal of financial economics studies
83
The European journal of finance
81
Journal of financial economics
79
Asia-Pacific financial markets
77
Journal of econometrics
66
Journal of financial and quantitative analysis : JFQA
58
NBER working paper series
58
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
57
Energy economics
56
Review of quantitative finance and accounting
55
SFB 649 discussion paper
54
The journal of finance : the journal of the American Finance Association
54
Annals of finance
52
Journal of risk and financial management : JRFM
50
The journal of real estate finance and economics
50
The review of financial studies
50
Working paper / National Bureau of Economic Research, Inc.
50
Economic modelling
49
International review of economics & finance : IREF
48
Decisions in economics and finance : DEF ; a journal of applied mathematics
47
Management science : journal of the Institute for Operations Research and the Management Sciences
46
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ECONIS (ZBW)
271
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1
Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model
Hout, Karel J. in 't
;
Lamotte, Pieter
- In:
The journal of computational finance
26
(
2023
)
4
,
pp. 101-137
Persistent link: https://www.econbiz.de/10014342075
Saved in:
2
Robust pricing and hedging via neural stochastic differential equations
Gierjatowicz, Patrick
;
Sabate-Vidales, Marc
;
Siska, David
; …
- In:
The journal of computational finance
26
(
2022
)
3
,
pp. 1-32
Persistent link: https://www.econbiz.de/10014314540
Saved in:
3
Estimating risks of European option books using neural stochastic differential equation market models
Cohen, Samuel N.
;
Reisinger, Christoph
;
Wang, Sheng
- In:
The journal of computational finance
26
(
2022
)
3
,
pp. 33-72
Persistent link: https://www.econbiz.de/10014314556
Saved in:
4
Least squares Monte Carlo methods in stochastic Volterra rough volatility models
Guerreiro, Henrique
;
Guerra, João
- In:
The journal of computational finance
26
(
2022
)
3
,
pp. 73-101
Persistent link: https://www.econbiz.de/10014314563
Saved in:
5
Analytical conversion between implied volatilities based on different dividend models
Lucic, Vladimir
;
Jovanović, Vladimir
- In:
The journal of computational finance
26
(
2022
)
3
,
pp. 103-120
Persistent link: https://www.econbiz.de/10014314571
Saved in:
6
Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
Bourgey, Florian
;
De Marco, Stefano
- In:
The journal of computational finance
26
(
2022
)
2
,
pp. 53-82
Persistent link: https://www.econbiz.de/10013549658
Saved in:
7
Pricing the correlation skew with normal mean-variance mixture copulas
Luján Fernández, Ignacio
- In:
The journal of computational finance
26
(
2022
)
2
,
pp. 83-99
Persistent link: https://www.econbiz.de/10013549659
Saved in:
8
Pricing barrier options with deep backward stochastic differential equation methods
Ganesan, Narayan
;
Yu, Yajie
;
Hientzsch, Bernhard
- In:
The journal of computational finance
25
(
2022
)
4
,
pp. 1-25
Persistent link: https://www.econbiz.de/10014546284
Saved in:
9
Automatic differentiation for diffusion operator integral variance reduction
Auster, Johan
- In:
The journal of computational finance
25
(
2022
)
4
,
pp. 27-53
Persistent link: https://www.econbiz.de/10014546286
Saved in:
10
Robust product Markovian quantization
Rudd, Ralph
;
McWalter, Thomas A.
;
Kienitz, Jörg
; …
- In:
The journal of computational finance
25
(
2022
)
4
,
pp. 55-78
Persistent link: https://www.econbiz.de/10014546287
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